Liquidity Risk Premium Model with Fixed-Expectation Liquidity Measures to Construct Liquidity-Risk-Premium-Free Term Structure

2015 ◽  
Author(s):  
Aryo Sasongko ◽  
Cynthia Afriani ◽  
Buddi Wibowo ◽  
Zaafri A. Husodo
Keyword(s):  
Term Structure ◽  
Risk Premium ◽  
Liquidity Risk ◽  
Free Term ◽  
Liquidity Measures ◽  
Premium Model

scholarly journals Pricing Liquidity Risk with Heterogeneous Investment Horizons

2020 ◽  
pp. 1-36 ◽  
Author(s):  
Alessandro Beber ◽  
Joost Driessen ◽  
Anthony Neuberger ◽  
Patrick Tuijp
Keyword(s):  
Stock Returns ◽  
Risk Premium ◽  
Liquidity Risk ◽  
Asset Returns ◽  
Spillover Effects ◽  
Expected Returns ◽  
Pricing Model ◽  
Liquidity Premium ◽  
Asset Pricing Model ◽  
Illiquid Asset

We develop an asset pricing model with stochastic transaction costs and investors with heterogeneous horizons. Depending on their horizon, investors hold different sets of assets in equilibrium. This generates segmentation and spillover effects for expected returns, where the liquidity (risk) premium of illiquid assets is determined by investor horizons and the correlation between liquid and illiquid asset returns. We estimate our model for the cross-section of U.S. stock returns and find that it generates a good fit, mainly due to a combination of a substantial expected liquidity premium and segmentation effects, while the liquidity risk premium is small.

A Model-Free Term Structure of U.S. Dividend Premiums

2018 ◽  
Author(s):  
Maxim Ulrich ◽  
Stephan Florig ◽  
Christian Wuchte
Keyword(s):  
Term Structure ◽  
Free Term ◽  
Model Free
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